| Close | |
|---|---|
| Annualized Return | 0.0540 |
| Annualized Std Dev | 0.1959 |
| Annualized Sharpe (Rf=0%) | 0.2755 |
| Close | |
|---|---|
| Observations | 5237.0000 |
| NAs | 1.0000 |
| Minimum | -0.1191 |
| Quartile 1 | -0.0046 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1137 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.1719 |
| Kurtosis | 10.3211 |
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.5643 |
| Historical VaR (95%) | -0.0188 |
| Historical ES (95%) | -0.0299 |
| Modified VaR (95%) | -0.0180 |
| Modified ES (95%) | -0.0276 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-02-19 | -0.5643 | 1349 | 355 | 994 |
| 2000-09-05 | 2002-10-09 | 2007-05-03 | -0.4955 | 1673 | 525 | 1148 |
| 2020-02-20 | 2020-03-23 | 2020-08-17 | -0.3460 | 125 | 23 | 102 |
| 2018-09-21 | 2018-12-24 | 2019-04-29 | -0.2054 | 150 | 65 | 85 |
| 2015-05-22 | 2016-02-11 | 2016-07-14 | -0.1555 | 289 | 183 | 106 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 3.1 | 0.4 | 0.6 | 0.1 | -1.1 | -0.7 | -0.4 | -1 | 0.8 |
| 2001 | 0.2 | -0.1 | 0.8 | 1.2 | 0.6 | 0.1 | 0.4 | 0.7 | -0.5 | 2 | -0.1 | -0.3 | 5.1 |
| 2002 | -0.4 | 1.9 | 0.2 | 0.7 | 0.2 | -1.7 | -3 | -0.4 | 3.1 | 2 | 0.1 | 0 | 2.5 |
| 2003 | 1.5 | 0.8 | 1.5 | 0.1 | 1.8 | 1 | -1 | 0.4 | 1.9 | 0.4 | 0.9 | 0.1 | 9.7 |
| 2004 | 0.1 | 0.9 | 0.7 | -0.7 | 0 | -1.1 | 0.5 | 0.1 | 1.6 | 0 | 1.4 | -0.5 | 3.1 |
| 2005 | 0.6 | 0.7 | -0.5 | 1.3 | 0.9 | 0.6 | -0.1 | 0 | 0.6 | 0 | 1.2 | -0.5 | 4.9 |
| 2006 | 0.6 | 0.7 | -0.1 | -0.4 | 1.3 | 0 | -0.4 | 0.5 | -0.2 | -0.7 | -0.2 | -0.4 | 0.7 |
| 2007 | 0.7 | -0.2 | -0.1 | 0.2 | 0.4 | -0.1 | 0.7 | 0.9 | 1.3 | -2.4 | 0.9 | -0.6 | 1.5 |
| 2008 | 1.4 | -2.6 | 3.4 | 1.8 | 0.1 | 0.6 | -0.5 | -1.2 | -0.7 | 2.1 | -8.6 | 1.3 | -3.4 |
| 2009 | -2.1 | -2.1 | 2.2 | 0.6 | 2.6 | 0.5 | 0.2 | -2.2 | -2.5 | -2.8 | 1.2 | -1 | -5.5 |
| 2010 | 1.5 | 1.1 | 0.6 | -1.6 | -1.8 | -0.2 | 0.1 | 2.9 | 0.4 | 0.1 | 2.2 | 0 | 5.3 |
| 2011 | 1.6 | -1.6 | 0.4 | 0.3 | -2.2 | 1.5 | -0.5 | -1.1 | -2.5 | -2.7 | -0.1 | -0.4 | -7.1 |
| 2012 | 1 | 0.7 | 0.3 | 0.7 | -2.5 | 2.6 | -0.2 | 0.4 | 0.2 | 1.3 | 0 | 1.9 | 6.4 |
| 2013 | 0.9 | 0.4 | -0.4 | -0.9 | -1.8 | 0.3 | 1.3 | -0.4 | 0.9 | 0.3 | -0.1 | 0.5 | 0.9 |
| 2014 | -0.6 | 0.2 | 0.7 | 0.1 | 0.1 | 0.7 | -0.3 | 0.2 | -1.3 | 1.1 | -0.8 | -1 | -0.8 |
| 2015 | -1.2 | -0.4 | -0.4 | 1 | 0.2 | 0.7 | -0.2 | -3 | 0.2 | -0.4 | 0.9 | -0.9 | -3.5 |
| 2016 | 0 | 2.4 | 0.6 | -0.6 | 0.3 | 0.2 | -0.1 | 0.1 | 0.8 | -0.7 | -0.4 | -0.4 | 2.1 |
| 2017 | 0 | 1.4 | -0.2 | 0.2 | 0.8 | 0.2 | 0.2 | 0.2 | 0.3 | 0.1 | -0.1 | -0.4 | 2.8 |
| 2018 | 0 | -1.3 | 1.4 | 0.2 | 1 | 0.1 | -0.1 | 0 | 0.3 | 1.1 | 0.7 | 1 | 4.6 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.7 | -1.2 | 0.9 | -0.9 | 0 | -1.2 | 1 | -0.4 | 0.2 | -0.4 |
| 2020 | -1.8 | -0.7 | -4.4 | -2.7 | 0.6 | 0.6 | 0.7 | 0.8 | 0.7 | -1.2 | 1 | 0.4 | -5.8 |
| 2021 | 1.6 | 2.4 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-05-19 74.3 SPY 141. -0.0187 -0.0118 -0.014 0.043 0.0584 NA NA <NA> NA NA NA
2 2000-05-22 74.1 SPY 140. -0.0075 -0.0359 -0.0261 0.0377 0.0682 NA NA <NA> NA NA NA
3 2000-05-23 72.8 SPY 138 -0.0147 -0.0584 -0.0299 0.0105 0.0698 NA NA <NA> NA NA NA
4 2000-05-24 73.5 SPY 140. 0.0163 -0.0338 -0.0534 0.0481 0.0752 NA NA <NA> NA NA NA
5 2000-05-25 72.9 SPY 138. -0.0172 -0.0415 -0.059 0.0339 0.0722 NA NA <NA> NA NA NA
6 2000-05-26 72.5 SPY 138 0.0011 -0.0221 -0.0548 0.0138 0.0599 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>